Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0233
Annualized Std Dev 0.2877
Annualized Sharpe (Rf=0%) 0.0811

Row

Daily Return Statistics

Close
Observations 5566.0000
NAs 1.0000
Minimum -0.2027
Quartile 1 -0.0072
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0084
Maximum 0.1994
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0181
Skewness -0.2163
Kurtosis 14.5718

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0133
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0175
Downside Deviation (Rf=0%) 0.0130
Downside Deviation (0%) 0.0130
Maximum Drawdown 0.7162
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0439
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0254
From Trough To Depth Length To Trough Recovery
2007-11-30 2008-11-21 NA -0.7162 3349 248 NA
2002-05-03 2002-10-14 2003-09-03 -0.3622 330 110 220
2004-11-29 2005-06-24 2006-11-30 -0.2723 507 145 362
2001-02-16 2001-09-27 2001-12-31 -0.2556 209 146 63
2007-06-04 2007-08-16 2007-11-29 -0.1949 126 53 73

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -2.9 -3 0 -4.3 -5.1 1.3 -4.2 2.5 -1.3 -0.6 0 -1.9 -18.2
2000 0 0 0.6 2.5 1.2 0 0.6 0.6 1.1 4.5 -1.1 1.1 11.6
2001 0 2.1 -2.3 3.2 0.8 1.3 0 1.9 2.8 0.4 0.2 2.8 13.8
2002 3.2 0.5 -0.7 1.5 -1.8 -6.3 -1.6 -0.8 2.8 1.6 0.4 -0.7 -2.2
2003 -0.7 0.7 -2.9 1.6 7.4 0 -0.4 1.6 1.7 0.4 1.5 0.8 12
2004 1.9 0.7 1.9 -0.5 1.5 -1.5 2 0.9 3.7 0.3 -1 -0.3 9.9
2005 -1.8 -1.2 -0.4 -1.1 0 0.8 0.6 0.1 1.2 -0.1 0.8 0.3 -0.7
2006 1.1 -0.6 2.8 -0.8 2.7 1.8 -0.5 -0.6 0.5 0 -0.4 0.6 6.7
2007 2.8 -3.3 1.3 -1.5 0.1 0.8 -1.1 0.5 3.2 -3.2 -3.5 -2.4 -6.5
2008 3 -1.5 1.5 1.5 0.5 0.5 0.5 -0.2 -1.9 -1.4 -2.4 7.7 7.6
2009 -1.6 -0.8 -2.3 -1 5.8 1.2 0.8 -0.7 -1.9 -2.3 1.2 0.6 -1.2
2010 1.2 2 1.5 -1.6 -2.7 -1 0.5 2.8 0.6 -0.3 1.7 -0.1 4.5
2011 1.8 -1 0.8 0.1 -2 1 0.8 -2.2 -2.4 -3.9 0 -0.6 -7.4
2012 0 0.8 -0.6 0.4 -2.7 1.1 -0.8 0.2 0.7 1.7 0 1.7 2.5
2013 0.4 0.1 -1.4 -0.1 -2.4 1.1 0.8 -1 0.6 -1.2 0.5 -0.9 -3.4
2014 -0.3 0.8 0.6 0.1 0 0.9 -1.2 0.4 -1.4 0.8 -2 -0.5 -1.9
2015 -1.7 -0.1 -0.4 1.3 0.1 0.6 0.5 -2.5 -0.5 -0.2 0.5 0.2 -2.2
2016 -0.6 1.6 0.2 -0.5 0.3 1.2 -0.2 0.3 1.2 -0.5 -0.9 -0.7 1.5
2017 0.8 1.1 1 0.1 1.1 0.4 0.3 0.8 0.5 -0.4 -0.6 0 5.1
2018 0.6 -1.1 0 0.4 0.2 0.6 0 -0.1 -0.3 3 0.1 0.2 3.6
2019 0.2 0.6 0 -0.3 -0.9 -0.1 -0.3 0.8 -1 1.6 -0.7 0.5 0.3
2020 -1.4 -2.5 -5.8 -2.8 1.2 -0.2 -1 0.3 0 -0.3 1.8 0.1 -10.3
2021 2.5 1.6 0.3 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart